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OpenAlex Citation Counts

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OpenAlex is a bibliographic catalogue of scientific papers, authors and institutions accessible in open access mode, named after the Library of Alexandria. It's citation coverage is excellent and I hope you will find utility in this listing of citing articles!

If you click the article title, you'll navigate to the article, as listed in CrossRef. If you click the Open Access links, you'll navigate to the "best Open Access location". Clicking the citation count will open this listing for that article. Lastly at the bottom of the page, you'll find basic pagination options.

Requested Article:

Modelling systemic price cojumps with Hawkes factor models
Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani, et al.
Quantitative Finance (2015) Vol. 15, Iss. 7, pp. 1137-1156
Open Access | Times Cited: 71

Showing 1-25 of 71 citing articles:

Hawkes Processes in Finance
Emmanuel Bacry, Iacopo Mastromatteo, J. F. Muzy
Market Microstructure and Liquidity (2015) Vol. 01, Iss. 01, pp. 1550005-1550005
Open Access | Times Cited: 357
Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
Feng Ma, Yin Liao, Yaojie Zhang, et al.
Journal of Empirical Finance (2019) Vol. 52, pp. 40-55
Closed Access | Times Cited: 172
Stabilizing effect of volatility in financial markets
Davide Valenti, Giorgio Fazio, Bernardo Spagnolo
Physical review. E (2018) Vol. 97, Iss. 6
Open Access | Times Cited: 97
What are bitcoin market reactions to its-related events?
Zhenghui Li, Liming Chen, Hao Dong
International Review of Economics & Finance (2021) Vol. 73, pp. 1-10
Closed Access | Times Cited: 76
Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach
Marcello Rambaldi, Paris Pennesi, Fabrizio Lillo
Physical Review E (2015) Vol. 91, Iss. 1
Open Access | Times Cited: 75
Forecasting oil futures price volatility: New evidence from realized range-based volatility
Feng Ma, Yaojie Zhang, Dengshi Huang, et al.
Energy Economics (2018) Vol. 75, pp. 400-409
Closed Access | Times Cited: 67
Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin
Elie Bouri, Rangan Gupta, Xuan Vinh Vo
Defence and Peace Economics (2020) Vol. 33, Iss. 2, pp. 150-161
Open Access | Times Cited: 51
The role of volume in order book dynamics: a multivariate Hawkes process analysis
Marcello Rambaldi, Emmanuel Bacry, Fabrizio Lillo
Quantitative Finance (2016) Vol. 17, Iss. 7, pp. 999-1020
Open Access | Times Cited: 55
Forecasting the variance of stock index returns using jumps and cojumps
Adam Clements, Yin Liao
International Journal of Forecasting (2017) Vol. 33, Iss. 3, pp. 729-742
Open Access | Times Cited: 45
News sentiment and jumps in energy spot and futures markets
Svetlana Maslyuk, Kristian Rotaru, Alexander Dokumentov
Pacific-Basin Finance Journal (2016) Vol. 45, pp. 186-210
Closed Access | Times Cited: 39
Collective synchronization and high frequency systemic instabilities in financial markets
Lucio Maria Calcagnile, Giacomo Bormetti, Michele Treccani, et al.
Quantitative Finance (2017) Vol. 18, Iss. 2, pp. 237-247
Open Access | Times Cited: 34
Identifying new classes of financial price jumps with wavelets
Cécilia Aubrun, Rudy Morel, Michael Benzaquen, et al.
Proceedings of the National Academy of Sciences (2025) Vol. 122, Iss. 6
Closed Access
Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics
Gabriele Ranco, Ilaria Bordino, Giacomo Bormetti, et al.
PLoS ONE (2016) Vol. 11, Iss. 1, pp. e0146576-e0146576
Open Access | Times Cited: 31
Exogenous and endogenous price jumps belong to different dynamical classes
Riccardo Marcaccioli, Jean‐Philippe Bouchaud, Michael Benzaquen
Journal of Statistical Mechanics Theory and Experiment (2022) Vol. 2022, Iss. 2, pp. 023403-023403
Open Access | Times Cited: 15
Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages
Piero Mazzarisi, Silvia Zaoli, Carlo Campajola, et al.
Journal of Economic Dynamics and Control (2020) Vol. 121, pp. 104022-104022
Open Access | Times Cited: 23
A Large Scale Study to Understand the Relation between Twitter and Financial Market
Lorenzo Cazzoli, Rajesh Sharma, Michele Treccani, et al.
(2016), pp. 98-105
Closed Access | Times Cited: 19
The dynamics of price jumps in the stock market: an empirical study on Europe and U.S.
Fabrizio Ferriani, Patrick Zoi
European Journal of Finance (2020) Vol. 28, Iss. 7, pp. 718-742
Closed Access | Times Cited: 18
Exchange options under clustered jump dynamics
Yong Ma, Dongtao Pan, Tianyang Wang
Quantitative Finance (2020) Vol. 20, Iss. 6, pp. 949-967
Open Access | Times Cited: 17
Detection of intensity bursts using Hawkes processes: An application to high-frequency financial data
Marcello Rambaldi, Vladimir Filimonov, Fabrizio Lillo
Physical review. E (2018) Vol. 97, Iss. 3
Open Access | Times Cited: 17
Multivariate quadratic Hawkes processes—part I: theoretical analysis
Cécilia Aubrun, Michael Benzaquen, Jean‐Philippe Bouchaud
Quantitative Finance (2023) Vol. 23, Iss. 5, pp. 741-758
Open Access | Times Cited: 5
Cojumps and asset allocation in international equity markets
Mohamed El Hédi Arouri, Oussama M’saddek, Duc Khuong Nguyen, et al.
Journal of Economic Dynamics and Control (2018) Vol. 98, pp. 1-22
Open Access | Times Cited: 16
A bivariate Hawkes process for interest rate modeling
Donatien Hainaut
Economic Modelling (2016) Vol. 57, pp. 180-196
Open Access | Times Cited: 14
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Massil Achab, Emmanuel Bacry, J. F. Muzy, et al.
Quantitative Finance (2017) Vol. 18, Iss. 2, pp. 199-212
Open Access | Times Cited: 13
Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
Michael Schneider, Fabrizio Lillo, Loriana Pelizzon
Quantitative Finance (2017) Vol. 18, Iss. 2, pp. 283-293
Closed Access | Times Cited: 13
Endogenous liquidity crises
Antoine Fosset, Jean‐Philippe Bouchaud, Michael Benzaquen
Journal of Statistical Mechanics Theory and Experiment (2020) Vol. 2020, Iss. 6, pp. 063401-063401
Open Access | Times Cited: 12
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